Having a universal set [in naive set theory] is a sufficient condition for Russel's paradox. See Naive Set Theory[1] bottom of page 6. This is why we can have no Universe in any consistent set theory.
Edit: @mafribe makes the point that there are some set theories that can still have universal sets by culling other features that ZF-style set theories have. I was mostly referring to ZF-style set theory (hence my citation). Indeed, one could even make a ZF-style set theory paraconsistent and still have Universal sets.
[1] http://sistemas.fciencias.unam.mx/~lokylog/images/stories/Al...